Can you give an example of a problem you go through in the course?

The course considers autoregressive models for vectors of time series, with particular focus on co-integration. This is a natural framework for searching long-term equilibrium relationships between macroeconomic and financial variables. Examples could be the money demand relationship, consumption function, term structure relationships etc.

Are there any courses it would be an advantage to pass before this?

Only requirement is a basic knowledge of univariate autoregressive structures and single equation co-integration tools, corresponding to the level of Econometrics C. It is also a good idea to have some experience with linear algebra.

Does this course give you abilities to join other courses?

Not formally, but the vector autoregressive model is a workhorse in empirical macroeconomics and it is also often used in finance.

If I like this course, are there any other course I can join which complements this?

This course focuses on macroeconomic and macro-finance time series. Other time series courses include Financial Econometrics A, with a focus on univariate models for volatility of financial returns, and Financial Econometrics B, with a focus on multivariate tools for financial data, e.g. multivariate (conditional) covariance estimation for portfolio optimization.

What could be a master thesis topic related to your course?

The vector autoregressive model is a natural starting point for empirical or econometric master theses. Examples could be applied theses using extended versions of the basic models. That could for example be models with non-linear adjustment patters, or models switching between different regimes.

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